International Journal of Engineering and Manufacturing(IJEM)
ISSN: 2305-3631 (Print), ISSN: 2306-5982 (Online)
Published By: MECS Press
IJEM Vol.2, No.2, Apr. 2012
Modeling Changing Graphical Structure
Full Text (PDF, 205KB), PP.50-57
We introduce the graphical models to describe the changing dependency structure between multivariate time series and design the algorithm by the markov chain monte carlo method. The model is applied to the stock market of Shanghai in China to study the changing correlation of five segments of the market, empirical results show that there is stronger dependency structure in the bear market and weaker correlation in the bull market.
Cite This Paper
Fengjing Cai, Yuan Li,"Modeling Changing Graphical Structure", IJEM, vol.2, no.2, pp.50-57, 2012.
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